내부자 군집거래와 주가급락위험

Exploiting the fact that insider trading is informative, however, recent studies suggest that not all insider trading has informational value. Insiders trade clustering could result from shared information in which insider trade clustering relatively contains more. Furthermore, we investigate the association between insider trade clustering and large variation of stock returns in an effort to understand whether insider trade clustering conducts signaling roles or is developed from insiders’ opportunistic behavior. The major empirical findings are as follows. First, insider sale clusters in the near past are associated with the high likelihood of a stock price crash risk, while the relation between insider sale clusters in the far past is ambiguous. Second, crash is more likely to occur in the presence of the largest shareholders along insider sale clusters at the insider hierarchy level. Finally, the association between insider sale clusters and crash risk becomes clear with small firms, higher financial opacity and followed by fewer financial analysts. Overall, our findings show that insider sale clusters just before crashes occur with higher information asymmetry. Therefore, we can infer that corporate insiders share short-term negative information to jointly profit from their private information. Our results can provide practical implications for the improvements of insider trading regulations in order to prohibit illegal insider trading.